We investigate the information theoretic optimality properties of the score function of the predictive likelihood as a …

We investigate the information theoretic optimality properties of the score function of the predictive likelihood as a …

We study optimality properties in finite samples for time-varying volatility models driven by the score of the … predictive likelihood function. Available optimality results for this class of models suffer from two drawbacks. First, they are … only asymptotically valid when evaluated at the pseudo-true parameter. Second, they only provide an optimality result `on …

We investigate the information theoretic optimality properties of the score function of the predictive likelihood as a …

We study optimality properties in finite samples for time-varying volatility models driven by the score of the … predictive likelihood function. Available optimality results for this class of models suffer from two drawbacks. First, they are … only asymptotically valid when evaluated at the pseudo-true parameter. Second, they only provide an optimality result `on …